Home/Author

Cathy W. S. Chen

24 works· latest 2021· 1 institutionscluster: provisionalORCID 0000-0001-8727-8168

h-index23

i1024

Citations1,456

Works here24

Most cited in this library

On a threshold heteroscedastic model2005 · 293 citations
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets2010 · 125 citations
Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model2003 · 110 citations
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range2012 · 66 citations
A comparison of estimators for regression models with change points2010 · 65 citations

Works

24 shown

Bayesian estimation of realized GARCH-type models with application to financial tail risk management

Econometrics and Statistics·2021·3 authors

31citations

What factors drive the satisfaction of citizens with governments’ responses to COVID-19?

International Journal of Infectious Diseases·2020·4 authors·Open access

56citations

Inferences of default risk and borrower characteristics on P2P lending

The North American Journal of Economics and Finance·2019·4 authors

31citations

Hysteretic Poisson INGARCH model for integer-valued time series

Statistical Modelling·2017·3 authors

29citations

Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range

Journal of Financial Econometrics·2014·2 authors

37citations

Bayesian Unit Root Test in Double Threshold Heteroskedastic Models

Computational Economics·2012·3 authors

15citations

Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range

International Journal of Forecasting·2012·4 authors·Open access

Forecasting volatility with asymmetric smooth transition dynamic range models

International Journal of Forecasting·2012·3 authors·Open access

39citations

A review of threshold time series models in finance

Statistics and Its Interface·2011·3 authors·Open access

63citations

Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets

Journal of Business and Economic Statistics·2010·3 authors

125citations

A comparison of estimators for regression models with change points

Statistics and Computing·2010·4 authors·Open access

65citations

Bayesian causal effects in quantiles: Accounting for heteroscedasticity

Computational Statistics & Data Analysis·2009·3 authors·Open access

34citations

Falling and Explosive, Dormant and Rising Markets via Multiple-Regime Financial Time Series Models

Applied Stochastic Models in Business and Industry·2009·3 authors·Open access

29citations

Optimal dynamic hedging via copula-threshold-GARCH models

Mathematics and Computers in Simulation·2008·3 authors·Open access

61citations

Volatility forecasting with double Markov switching GARCH models

Journal of Forecasting·2008·3 authors·Open access

51citations

HEAVY‐TAILED‐DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES

Australian & New Zealand Journal of Statistics·2008·3 authors·Open access

29citations

Volatility forecasting using threshold heteroskedastic models of the intra-day range

Computational Statistics & Data Analysis·2007·3 authors·Open access

57citations

Comparison of nonnested asymmetric heteroskedastic models

Computational Statistics & Data Analysis·2006·3 authors

41citations

On a threshold heteroscedastic model

International Journal of Forecasting·2005·2 authors

293citations

Asymmetric responses of international stock markets to trading volume

Physica A Statistical Mechanics and its Applications·2005·4 authors

33citations

A Bayesian threshold nonlinearity test for financial time series

Journal of Forecasting·2005·3 authors

60citations